Market by price (MBP-10)
MBP-10 (market by price) provides every order book event across the top ten price levels, keyed by price. This includes every trade and changes to aggregate market depth, alongside total size and order count at the top ten price levels.
This is often called "L2 data".
Databento groups this under market depth (L2).
Fields (mbp-10)
| Field | Type | Description |
|---|---|---|
ts_recv | uint64_t | The capture-server-received timestamp expressed as the number of nanoseconds since the UNIX epoch. See ts_recv. |
ts_event | uint64_t | The matching-engine-received timestamp expressed as the number of nanoseconds since the UNIX epoch. See ts_event. |
rtype | uint8_t | A sentinel value indicating the record type. Always 10 in the MBP-10 schema. See Rtype. |
publisher_id | uint16_t | The publisher ID assigned by Databento, which denotes the dataset and venue. See Publishers. |
instrument_id | uint32_t | The numeric instrument ID. See Instrument identifiers. |
action | char | The event action. Can be Add, Cancel, Modify, cleaR book, or Trade. See Action. |
side | char | The side that initiates the event. Can be Ask for a sell order (or sell aggressor in a trade), Bid for a buy order (or buy aggressor in a trade), or None where no side is specified. See Side. |
depth | uint8_t | The book level where the update event occurred. |
price | int64_t | The order price where every 1 unit corresponds to 1e-9, i.e. 1/1,000,000,000 or 0.000000001. See Prices. |
size | uint32_t | The order quantity. |
flags | uint8_t | A bit field indicating event end, message characteristics, and data quality. See Flags. |
ts_in_delta | int32_t | The matching-engine-sending timestamp expressed as the number of nanoseconds before ts_recv. See ts_in_delta. |
sequence | uint32_t | The message sequence number assigned at the venue. |
bid_px_N | int64_t | The bid price at level N (top level if N = 00) where every 1 unit corresponds to 1e-9, i.e. 1/1,000,000,000 or 0.000000001. See Prices. |
ask_px_N | int64_t | The ask price at level N (top level if N = 00) where every 1 unit corresponds to 1e-9, i.e. 1/1,000,000,000 or 0.000000001. See Prices. |
bid_sz_N | uint32_t | The bid size at level N (top level if N = 00). |
ask_sz_N | uint32_t | The ask size at level N (top level if N = 00). |
bid_ct_N | uint32_t | The bid order count at level N (top level if N = 00). |
ask_ct_N | uint32_t | The ask order count at level N (top level if N = 00). |
Implementation differences between clients and encodings
Bid and ask depth messages (fields starting with bid_ and ask_) are structured differently in the C++ and Rust clients, the Python record interface, and JSON data. Instead of using the _N suffix, they're stored in an array of structures named levels, with the top-of-book at index 0.
For example, in C++, levels[5].bid_px corresponds to bid_px_05 in the Python DataFrame API and CSV format.
It is possible to construct MBP-10 yourself from MBO data if you want more price levels or prefer to reduce your bandwidth use. Learn how to construct a limit order book from MBO data from our limit order book construction tutorial.